The so-called missing-xenon problem is one worthy for inclusion into the Wikipedia list of unsolved problems in chemistry. Xenon's problem is that it is not very abundant in Earth's atmosphere compared to xenon concentrations in outer space or compared to the concentration of the other noble gases on Earth itself, so where has it all gone?
The problem was first identified in 1997 (DOI) by Caldwell et al. who tried in vain to form xenon-iron alloys at high pressures. If the xenon had disappeared so it seemed it was not in Earth's iron core at some point in Earth's evolution.
In 2005 Sanloup et al. ( DOI) discovered that xenon can substitute silicon in quartz at high temperatures and pressure but the gas escapes just as easily.
Although it is one of the noble gases, xenon can form chemical bonds with other elements for example in xenon hexafluoroplatinate. Most recently in 2008 Khriachtchev et al. ( DOI) have identified the compound HXeOXeH in a xenon matrix at 45 degrees kelvin by photolysis of xenon with plain water. The researchers think this finding gives a first clue towards polymeric Xe-O structures which may somehow be related to the missing-xenon problem.
Update February 2011: xenon dioxide is another contender (DOI)